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題名:臺灣股價指數期貨及摩根臺指期貨到期效應之因素研究
書刊名:財金論文叢刊
作者:李見發 引用關係林榮裕陳秀綾
作者(外文):Li, Jian-faLin, Jung-yuChen, Hsiu-ling
出版日期:2005
卷期:3
頁次:頁51-76
主題關鍵詞:臺灣股價指數期貨摩根臺指期貨到期效應
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(5) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:8
  • 點閱點閱:21
期刊論文
1.Stoll, Hans R.、Whaley, Robert E.(1990)。Program Trading and Individual Stock Returns: Ingredients of the Triple-witching Brew。Journal of Business,63(1),165-192。  new window
2.Stoll, Hans R.、Whaley, Robert E.(1997)。Expiration-day Effects of the All Ordinaries Share Price Index Futures: Empirical Evidence and Alternative Settlement Procedures。Australian Journal of Management,22(2),139-174。  new window
3.Segall, J.(1956)。The Effect of Maturity on Price Fluctuations。Journal of Business,29(3),202-206。  new window
4.Lee, C. I.、Mathur, I.(1999)。The influence of information arrival on market microstructure: Evidence from three related markets。The financial Review,34(1),1-26。  new window
5.Chiang, R. C.、Tapley, T. C.(1983)。Day-of-the-Week Effect and the Futures Market。Review of Research in Futures Markets,2,356-410。  new window
6.Chen, Y.、Duan, J.、Hung, M.(1999)。Volatility and Maturity Effect in the Nikkei225 Index Futures。Journal of Futures Markets,19,895-909。  new window
7.Chamberlaim, T. W.(1989)。Maturity Effects in Futures Markets: Some Evidence from the City of London. Scottish。Journal of Political Economy,36(1),90-95。  new window
8.Chamberlaim, T. W.、Cheung, S. C.、Kwan, C. C. Y.(1989)。Expiration day effect of index futures and options:Some Canadian evidence。Financial Analysts Journal,45(5),67-71。  new window
9.林啟明(20000700)。國內期貨交易價量趨勢分析。臺灣期貨市場,2(4),23-34。  延伸查詢new window
10.Pope, P. F.、Yadav, P. K.(1992)。The impact of option expiration on underlying stocks: The UK evidence。Journal of Business Finance and Accounting,19(3),329-344。  new window
11.Samuelson, P. A.(1976)。Is Real-World Price a Tale Told by the Idiot of Chance?。Review of Economics and Statistics,58,120-123。  new window
12.Herbst, A. F.、Maberly, E. D.(1990)。Stock index Futures, Expiration Day Volatility and the special Friday Opening: a Note。Journal of Futures Markets,10,323-325。  new window
13.Karolyi, G. A.(1996)。Stock Market Volatility Around Expiration Days in Japan。The Journal of Derivatives,4(2),23-43。  new window
14.Wang, G. H. K.、Yau, J.(2000)。Trading Volume, Bid-Ask Spread, and Price Volatility in Futures Markets。Journal of Futures Markets,20(10),943-970。  new window
15.Chen, C.、Williams, J.(1994)。Triple-Witching Hour, the Change in Expiration Timing, and Stock Market Reaction。Journal of Futures Markets,14(3),275-292。  new window
16.Board, J. L. G.、Sutcliffe, C. M. S.(1988)。The Weekend Effect in UK Stock Market Returns。Journal of Finance and Accounting,15,199-213。  new window
17.吳承康(20000700)。臺灣股價指數期貨基差與價格預測實證研究。臺灣期貨市場,2(4),35-51。  延伸查詢new window
18.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
19.Edwards, F. R.(1988)。Futures Trading and Cash Market Volatility: Stock Index and Interest Rates Futures。Journal of Futures Markets,8,421-439。  new window
20.Maberly, Edwin D.、Herbst, Anthony F.(1991)。An Alternative Methodology for Measuring Expiration Day Price Effects at Friday's Close: The Expected Price Reversal--A Note。The Journal of Futures Markets,11(6),751-754。  new window
21.Board, J. L. G.、Sutcliffe, C. M. S.(1990)。Information, volatility, volume and maturity: an investigation of stock index futures。Review of Futures Markets,19(3),533-549。  new window
22.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
23.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
24.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。  new window
25.Samuelson, Paul A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6(2),41-49。  new window
26.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
27.Klemkosky, R. C.(1978)。The Impact of Option Expirations on Stock Prices。Journal of Financial and Quantitative Analysis,13,507-518。  new window
學位論文
1.陳國民(2004)。指數期貨到期日之報酬反轉及波動效果日內效應之研究(碩士論文)。淡江大學。  延伸查詢new window
2.鄭麗慧(2001)。外資介入對股市現貨市場與指數期貨市場關聯性的影響--以香港、馬來西亞、台灣為例(碩士論文)。國立中山大學。  延伸查詢new window
3.趙延楷(2002)。現貨指數報酬、基差走勢、未平倉合約數與外資交易行為之動態關聯探討(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
4.陳啟明(2002)。期貨結算對權值股之探討及期貨、現貨價格變動率對權值股之影響(碩士論文)。淡江大學。  延伸查詢new window
5.洪舜華(2002)。摩根臺灣股價期貨指數到期效應對股票市場的影響(碩士論文)。國立臺北大學。  延伸查詢new window
6.于士媛(2003)。期貨與選擇權到期效應之研究--以TAIFEX股價指數期貨及指數選擇權為例(碩士論文)。銘傳大學。  延伸查詢new window
7.蔡垂君(2003)。臺灣股價指數期貨與現貨之實證研究(博士論文)。國立臺北大學。new window  延伸查詢new window
8.林世釗(2003)。臺灣股價指數現貨、期貨及摩根臺灣股價指數期貨到期效應之研究(碩士論文)。國立臺北大學。  延伸查詢new window
 
 
 
 
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